AIQF Daily digest — 2 new papers

Quant Paper Radar · 2 new

1. 1

   REITs and commercial real estate uncertainty

   Dietl, Vanessa, Lee, Gabriel S., Binh Nguyen Thanh · ECONBIZ · Uncertainty-Based REIT Allocation

   quant relevance 0.88

   The study links lagged changes in commercial real estate uncertainty to subsequent quarterly U.S. REIT returns, with potential applications to REIT allocation and risk management. Its measured uncertainty exposures are not trading-performance results, and their statistical significance depends on crisis inclusion and model specification.

   original paper

2. 2

   The volatility spillover between digital currencies and stock markets:evidence from DCC-GARCH R2 decomposed connectedness measures

   Yiguo Chen, Peng Luo · OPENALEX · Cross-Asset Connectedness and Portfolio Risk Management

   quant relevance 0.76

   The study estimates weekly DCC-GARCH correlations and decomposed connectedness between four cryptocurrencies and five national equity markets, with applications to diversification and portfolio risk management. It reports measured spillover relationships rather than demonstrated trading performance; reproducing its cross-country mechanism requires international market data outside the stated coverage.

   original paper